Abstract
We consider an incomplete market model whose stock price fluctuation is given by a jump diffusion process. For this model, we calculate the density process of the minimal martingale measure. Also, we state the relation to a locally risk-minimizing strategy.
| Original language | English |
|---|---|
| Pages (from-to) | 263-270 |
| Number of pages | 8 |
| Journal | Journal of Applied Probability |
| Volume | 41 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2004 Mar 1 |
| Externally published | Yes |
Keywords
- Incomplete market
- Jump diffusion process
- Locally risk minimizing
- Minimal martingale measure
ASJC Scopus subject areas
- Statistics and Probability
- Mathematics(all)
- Statistics, Probability and Uncertainty